Essays about: "applied mathematics credit spread"

Found 2 essays containing the words applied mathematics credit spread.

1. 1. An analysis of the underlying variables on the credit spread of the Swedish corporate bond market

   University essay from KTH/Matematisk statistik

   Author : Markus Olofsgård; Philip Göransson; [2020]
   Keywords : Statistics; applied mathematics credit spread; regression analysis; corporate bonds; Statistik; tillämpad matematik; kreditspread; regressionsanalys; företagsobligationer;

   Abstract : The purpose of this thesis is to define which variables affect the average credit spread on the Swedish bond market. The study is conducted via the help of Enter Fonder, who contributes with data and insight into the Swedish corporate bond market. Earlier research has put a lot of weight on the connection between default risk and credit spread. READ MORE

3. 2. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

   University essay from Lunds universitet/Matematisk statistik

   Author : Marcus Zethraeus; Magnus Roos; [2017]
   Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

   Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE